Correlation Between Value and Momentum The correlation between value and momentum is near record lows. Below this level, value outperformed momentum over the next 250 days (77% of the time) since 1986. Image: BofA Merrill Lynch US Equity & US Quant Strategy
U.S. Energy Balance Leads Oil-Dollar Correlation Interesting chart suggesting that the U.S. real energy balance leads the oil-dollar correlation by three years. Image: Oxford Economics, Macrobond
VIX and MOVE Rolling Correlation Periods of high correlation between safe and risk assets are generally not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC
U.S. Equity and Bond Correlation The potential risk for a 60/40 portfolio is that the negative correlation between U.S. equity and bond could flip. Image: BofA Merrill Lynch
Correlation Matrix This grid shows the correlation between different asset classes. It is very useful for asset allocation. Image: Fidelity Investments
Correlation Between U.S. ISM Manufacturing Index and Regional Indexes This chart shows the quite good correlation between the U.S. ISM Manufacturing Index and regional indexes (Philly Fed, Dallas Fed, Richmond Fed, and NY Empire). Image: Saxo Bank
Correlation Between S&P 500 Index and MSCI EAFE Index Since 1997, the high correlation between U.S. and international equity markets suggests that the MSCI EAFE may only offer a slight risk/return benefit as a complement to a U.S. equity portfolio. Image: First Eagle Investment Management, LLC
Heightened Correlations to U.S. Treasury Implied Volatility (MOVE) Followed by Higher Yields This chart suggests that balanced portfolios could suffer as U.S. Treasury yields generally rise after heightened correlation. Image: Arbor Research & Trading LLC
VIX and MOVE Correlation Periods of high correlation between VIX and MOVE are not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC
U.S. Yield Curve 1M to 30Y and Correlation Against Fed Funds Effective Rate According to the chart, a 75bp cut is required to normalize the term structure of interest rates. Image: Fundstrat Global Advisors, LLC
